[R] garchFit in fGarch fitted values are all the same

Liviu Andronic landronimirc at gmail.com
Wed Jul 1 07:54:16 CEST 2009


Hello,

On 7/1/09, Ron Burns <rrburns at cox.net> wrote:
>  In trying to fit garch models in above environment. I am getting
>  "reasonable" fitted coefficients, but the fitObject at fitted are all the
>  same. This is true even for the help page example:
>
There is a better chance of getting good answers if asking finance
related questions on r-sig-finance. Concerning your question, have you
tried fitting the same examples with tseries::garch() or
rgarch::ugarchfit() [1]?
Liviu

[1] http://rgarch.r-forge.r-project.org/index.html




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